McCormack, 27, informed Cellino of his decision at a face to face meeting at Elland Road earlier this week.
The Scotland international was top scorer in the Championship last season with 29 goals.
He was also Leeds' player of the season.
Italian Cellino has always said he is determined to keep McCormack - but only if the player wants to stay.
And the 57-year-old was shocked and saddened by McCormack's decision.
Cardiff, Norwich, Fulham and Derby have all made enquiries about the prolific striker and his exit now seems inevitable.
The news will be another big blow to fans of the Yorkshire giants.
Many are angry after little-known Dave Hockaday was appointed head coach of the club last week.
McCormack has been at Leeds for four seasons and is a huge fan favourite.
He did turn up for the first day of pre-season training on Thursday and for the club's kit launch this morning, but it is uncertain whether he will join the rest of the players on their training camp in Italy next week.
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